Finance
Finance
Seminars in Economics Toan Phan (University of North Carolina, Chapel Hill)
"Toxic Asset Bubble" Abstract We show that toxic (i.e., welfare reducing) asset bubbles can emerge in a standard framework of stochastic rational bubble if there is financial friction. The friction generated by limited liability and non-contingent debt contracts prevents banks from fully internalizing the bubble's risk of collapse. Hence boom-bust episodes involving excessively risky bubbles can emerge in equilibrium. We…
Monday Lunch Seminars Daniele Pennesi
"Asset prices in an ambiguous economy" abstract We price assets with ambiguous returns in a Lucas’ tree economy under general ambiguity sensitive inter-temporal utility. We provide intuitive conditions to guarantee existence and to characterize equilibria. Although we relax ambiguity aversion,portfolio inertia and excess volatility may obtain at the equilibrium, extending the results of Epstein and…
Monday Lunch Seminars Gerardo Ferrara
"Portfolio Optimization under Model Uncertainty" abstract This study proposes a novel methodology to deal with model uncertainty in forecasting stock returns. My main interest here is to overcome thetendency of Bayesian Model Averaging to give all of the weight to a single model. A potential solution of this problem is to capture thenature of the underlying data…
Collegio Aperto 5th Onorato Castellino Lecture, Salvatore Rossi (Director General, Bank of Italy)
"Alle radici dello sviluppo: demografia, istituzioni, politiche" Lecture video
Monday Lunch Seminars Michela Altieri
"Group Affiliation, Implicit Guarantees and the Cost of Borrowing" abstract This paper investigates the effect of group affiliation on credit spreads of firm’s public debt. We analyse all the firms issuing publicdebt on the US Primary and Secondary market from 1980 until 2006, by comparing business groups and independent firms new issuances. Theresults show that controlled firms…
Monday Lunch Seminars Roberto Marfè
"Labor Relations, Endogenous Dividends and the Equilibrium Term Structure of Equity" abstract Leading asset pricing models are inconsistent with the recent empirical findings which document downward sloping term structures of equity risk and premia. This paper shows that a simple general equilibrium model can accommodate the stylized facts about dividend strips as long as dividend distributions endogenously obtain…
Seminars in Politics and Society Herman Schwartz (University of Virginia)
"Babies, Bonds, and Buildings: Policy Implications of the Links among Pensions, Housing Finance Systems and Fertility Rates" abstract Many rich OECD countries now have fertility rates well below the replacement rate. Low fertility implies declining population and potential problems for pension systems trying to finance an ever-rising ratio of retirees to workers. Additionally, surveys show…
Monday Lunch Seminars Pietro Garibaldi
"Labor and Finance: Mortensen and Pissarides meet Holmstrom and Tirole" abstract In real life labor markets firms hold at all times a variety of liquid assets not invested in their core business. Such external use of funds acts as an insurance against future adverse financial shocks, and typically varies across firms and sectors. As a…
Monday Lunch Seminars Henriette Prast
"Seven ways to knit your portfolio: can familiarity explain the gender gap in finance?" abstract We investigate whether the gender gap in measured financial literacy, risk attitudes and portfolio choice may be affected by a gender gap in familiarity with the language and product supply in the life cycle saving and investing industry. Familiarity is…
Seminars in Economics Fulvio Ortu (Univ Bocconi)
"Implications of Returns Predictability for Asset Pricing Modelling"
Monday Lunch Seminars Marco Airaudo
"Optimal monetary policy with counter-cyclical credit spreads" Abstract We study the consequences for monetary policy design of including deep habits in credit markets into the benchmark New-Keynesian DSGE model. Under deep habits, monopolistically competitive banks set lending rates in a forward-looking fashion: they internalize the fact that, due to habits in banking (which are meant…
Monday Lunch Seminars Filippo Taddei
"International Capital Flows, Financial Frictions and Welfare" abstract The connection between the financial crisis of 2007-08 and global imbalances is controversial. We argue that the main reason why the relationship may be in place is due to the existence of financial frictions in domestic credit markets. We rationalize this point of view by developing a…
Seminars in Economics Alberto Manconi (Tilburg University)
"Do Short Sellers Care About Corporate Hedging?" abstract We study the relationship between corporate hedging and short selling, using a novel data set on short sales of US equities over the period 2002-2009, and hand-collected data on corporate hedging. We document that hedging is associated with lower uncertainty, i.e., lower analyst forecast dispersion and greater breadth of ownership. This should…
Seminars in Economics Marti Subrahmanyam (NYU Stern)
"The Microstructure of the European Sovereign Bond Market: A Study of the Euro-zone Crisis"
Seminars in Economics Marek Weretka (University of Wisconsin-Madison)
"Pricing Large Financial Products"
Edmund Cannon (University of Bristol)
"Cohort mortality risk or adverse selection in the UK annuity market?"
Seminars in Economics Michael Brennan (UCLA)
"Financing Asset Growth"
Monday Lunch Seminars Igor Livshits (University of Western Ontario)
"Screening as a Unied Theory of Delinquency,Renegotiation, and Bankruptcy"
Seminars in Economics Philippe Jehiel (UCL and PSE)
"Financial reporting and market efficiency withextrapolative investors"
Job Market Seminars Farzad Saidi (New York University)
"The Rise of the Universal Bank: Financial Architecture and FirmVolatility in the United States"